Evaluation of the biases in execution cost estimation using trade and quote data

Journal of Financial Markets

Volumn 6, Issue 3, 2003, Pages 259-280

  Peterson, Mark ^a   Sirri, Erik ^b  

^a SOUTHERN ILLINOIS UNIVERSITY   (United States)

^b BABSON COLLEGE   (United States)

Author keywords

Effective spread; Lee and Ready algorithm; Trade direction

Indexed keywords

EID: 0037402476     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(02)00065-4     Document Type: Article

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